On the Hopf-Cole Transform for Control-affine Schr\"{o}dinger Bridge

The purpose of this note is to clarify the importance of the relation $\boldsymbol{gg}^{\top}\propto \boldsymbol{\sigma\sigma}^{\top}$ in solving control-affine Schr\"{o}dinger bridge problems via the Hopf-Cole transform, where $\boldsymbol{g},\boldsymbol{\sigma}$ are the control and noise coefficients, respectively. We show that the Hopf-Cole transform applied to the conditions of optimality for generic control-affine Schr\"{o}dinger bridge problems, i.e., without the assumption $\boldsymbol{gg}^{\top}\propto\boldsymbol{\sigma\sigma}^{\top}$, gives a pair of forward-backward PDEs that are neither linear nor equation-level decoupled. We explain how the resulting PDEs can be interpreted as nonlinear forward-backward advection-diffusion-reaction equations, where the nonlinearity stem from additional drift and reaction terms involving the gradient of the log-likelihood a.k.a. the score. These additional drift and reaction vanish when $\boldsymbol{gg}^{\top}\propto\boldsymbol{\sigma\sigma}^{\top}$, and the resulting boundary-coupled system of linear PDEs can then be solved by dynamic Sinkhorn recursions. A key takeaway of our work is that the numerical solution of the generic control-affine Schr\"{o}dinger bridge requires further algorithmic development, possibly generalizing the dynamic Sinkhorn recursion or otherwise.